short gold

close silver at 13.90 (a loss marked from from $14.98)

short gold at 955 20%.

7/29/09

Closing the SEK position at a small loss (markeed at 10.44 at may 28, and closed at 10.53). I do think think SEK will appreciate further.

short equities

short equities (SPY) at 80% NAV at 97.60.

didn't get lower opening

Covering equity shorts at 80%. I was expecting a lower opening today, but I didn't get it... I'll close at 97.90 when I entered the position.


This is what I see... the S&P 500 will move higher in the next few weeks with a lower VIX and lower momentum, but it will peak with the RSI in the 60s, and the MACD will have lower highs for the new high. I expect a top at 990-1020 for the S&P 500. Establishing a short position there seems to have an excellent risk/reward for a trade. Fundamentally, there is no reason to buy and hold equities at these levels.

I'll take a wait and see approach for bonds though. I see a fundamental upper bound at 400 bps. I'll consider going long at 380 bps.

consider exiting treasury shorts

the 100% nav short treasury position has done well... the gain is 1.5%, enough to ease losses on the short copper position. I should have shorted yen as a "recovery" trade too.

I'll consider exiting today.

Although I have not been successful in conducting the real-time experiment... I have done a nice job. I like how I played good defense in establishing the SPY shorts and bond longs in June. I also closed the Treasury longs and SPY shorts when I realized I was wrong about the rally, and became "defensive" in my bearish stance.

I do not regret the currency positions although they could be better timed.

Edit:

Exit Treasury short at 3.68% for a gain of 1.5%

Add short S&P 80% NAV at 97.90... I expect the market to close lower on monday. Position will have to be played defensively.

Short Treasuries

although I do like long treasuries in the medium term and it is reasonable to expect yields to fall to sub 3% at the end of the year, I do think short treasures might be a good trade. Maybe yields would go up 20-40 basis points (right now, it is at 3.48%). I am doing this primarily to hedge the german government bond position, and it is a better "recovery" trade than going long on stocks since that asset class is moderately overbought.

short treasures at 100% nav. I'll look at the yields on the 2 year note and 5 year note as the bond market's expectations on the economy and/or inflation.

removing Treasury position

The Treasury position has been a wild ride lately. I thought the bond market would be smart enough to avoid the swings of the equity markets. However, yields went up dramatically along with stocks. If I am assuming a negative correlation between stock and Treasury prices, then Treasuries would fall.

Close Treasury positions at 3.68%. No gain, no loss. Derisking seems to be the best option. Still bullish on this asset class in the long term.
Equities:
+ PBR 5

Commodities:
+ silver 20
- copper 25

Fixed income:
+ German government bond 10 year 100 (hedged)

Currencies:
- EUR/SEK 30
- EUR/USD 30
- GBP/USD 60

Establishing copper short

account from may 28:

4.4% on silver long (unclosed then when it was at 14.93 oz) - 2.0 german government bond losses - 1.4 on gold and copper shorts - 2.5 on currency losses (both on pound) + .4% on long SPY positions (so about a 1.1% loss)

From then on - 1.4% loss on NZD speculation

Unaccounted losses SLV, SEK/EUR (1.6% ({1-[1044/1103]}*.3) ], USD/EUR

Establish 20% copper short at $2.41 (total position is about $2.39)

Cover all equity shorts (SP 500: 940 or whatever it opens at today) (a little too late), and oil (at 61.50) and reenter under further overbought conditions. This rally can last one month more. Staying with fixed-income trades... since I believe the bond market is more sane than the stock market. Close small AUD position (no gain at all)

Key theme: The fall will happen during the fall.

My own technical analysis did not pick up an oversold signal when the S&P was at 880. I expected it to fall further: there was no surge in volume indicating a panic; the RSI bottomed at 37.6; VIX "only" peaked at 31.3; MACD did not show significant divergence.


+ PBR 5

- copper 5
+ silver 20

+ German government bond 10 year 100
+ US Treasuries 10 year 70

- EUR/SEK 30
- EUR/USD 30
- GBP/USD 60



Tentative positions:

+ USD/JPY
+ USD/AUD

planning to add to copper short.